A fast algorithm for the computation of HAC covariance matrix estimators
Year of publication: |
2017
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Authors: | Heberle, Jochen ; Sattarhoff, Cristina |
Published in: |
Econometrics. - Basel : MDPI, ISSN 2225-1146. - Vol. 5.2017, 1, p. 1-16
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Publisher: |
Basel : MDPI |
Subject: | GMM | HAC estimation | Newey-West estimator | Toeplitz matrices | discrete Fourier transformation (DFT) | R |
Type of publication: | Article |
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Type of publication (narrower categories): | Article |
Language: | English |
Other identifiers: | 10.3390/econometrics5010009 [DOI] 888253508 [GVK] hdl:10419/171904 [Handle] |
Classification: | C01 - Econometrics ; c55 ; c58 ; C63 - Computational Techniques ; G17 - Financial Forecasting |
Source: |
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A fast algorithm for the computation of HAC covariance matrix estimators
Heberle, Jochen, (2017)
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Fan, Jianqing, (2016)
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Sattarhoff, Cristina, (2010)
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A fast algorithm for the computation of HAC covariance matrix estimators
Heberle, Jochen, (2017)
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Heberle, Jochen, (2015)
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Statistical inference in multifractal random walk models for financial time series
Sattarhoff, Cristina, (2011)
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